Testing green finance portfolio performance

Green activities are measured with a green revenue adjustment factor that can be used to adjust observed market stock prices. We examine the green revenue factors for all companies that are part of the stock indexes representing the main five economies. Using multivariate correlation coefficients, we detect higher-order groupings of green indexes that may highly or lowly correlate. We employ the green revenues factor to construct portfolios that may benefit from the wedge between high green companies and low green companies, for all five economies. The quintile portfolios are compared across mean return, the CAPM beta, and realised beta. We also statistically test their comparative dollar performance using high-order stochastic dominance tests. The US portfolio has better dollar performance than the corresponding portfolios for the other economies, while the similar portfolio for Japan has the least dollar performance out of portfolios of all the other economies.

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Publication Details

Journal
Journal of the Operational Research Society
Published
2025-02-20
DOI
https://doi.org/10.1080/01605682.2025.2465895
Citations
2
Primary Topic
Sustainable Finance and Green Bonds
Type
article
Field-Weighted Citation Impact
4.42
Controls
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article

Testing green finance portfolio performance

Radu Tunaru, Diana Tunaru, Enoch Quaye
2 citations
Journal of the Operational Research Society
Sustainable Finance and Green Bonds
4.42
article

Testing green finance portfolio performance

Radu Tunaru, Diana Tunaru, Enoch Quaye
article en
2 citations

Abstract

Green activities are measured with a green revenue adjustment factor that can be used to adjust observed market stock prices. We examine the green revenue factors for all companies that are part of the stock indexes representing the main five economies. Using multivariate correlation coefficients, we detect higher-order groupings of green indexes that may highly or lowly correlate. We employ the green revenues factor to construct portfolios that may benefit from the wedge between high green companies and low green companies, for all five economies. The quintile portfolios are compared across mean return, the CAPM beta, and realised beta. We also statistically test their comparative dollar performance using high-order stochastic dominance tests. The US portfolio has better dollar performance than the corresponding portfolios for the other economies, while the similar portfolio for Japan has the least dollar performance out of portfolios of all the other economies.

Journal of the Operational Research SocietyVol. 77(1)
University of Kent (GB), University of Bristol (GB), University of Reading (GB)
Openalex Percentile: Top 8%
Sustainable Finance and Green Bonds
4.42
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